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- ...with the realism of classical financial models. These classical models of financial [[time series]] typically assume [[homoskedasticity]] and [[normal distribu ...that this assumption is often rejected empirically. For this reason, GARCH models with non-normal innovation distribution have been developed. ...11 KB (1,699 words) - 12:02, 19 February 2025
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- In [[financial mathematics]], the '''Carr–Madan formula''' of Peter Carr and Dilip B. Mada * {{citation|title=Financial Modeling: A Backward Stochastic Differential Equations Perspective|first=St ...2 KB (251 words) - 19:41, 4 June 2024
- ...idian's trick''' is a technique for one-factor [[Asset pricing|asset price models]], which re-expresses an [[Option (finance)|option]] on a [[Portfolio_(fina In financial applications, each of the random variables <math>f_i(W)</math> represents a ...2 KB (276 words) - 20:36, 24 March 2021
- ...change Rate Processes Implicity in Deutsche Mark Options", ''The Review of Financial Studies,'' volume 9, number 1, 1996, pages 69–107.]</ref> This model fits t [[Category:Financial models]] ...1 KB (181 words) - 07:37, 3 April 2022
- ...eta]] that measures a stock's association with the overall stock market ([[Financial risk|risk]]) only on days when the market’s return is negative. Downside be ...sciencedirect.com/science/article/pii/S0304405X14001378|journal=Journal of Financial Economics|language=en|volume=114|issue=2|pages=197–225|doi=10.1016/j.jfinec ...3 KB (484 words) - 19:38, 17 June 2024
- ...tagion and interconnection.<ref>Elliott, M., Golub, B. and Jackson 2013. M Financial Networks and Contagion https://ssrn.com/abstract=2175056 http://www.its.cal ...is possible to construct the dependency matrix to simulate cascades in the financial network. ...6 KB (1,058 words) - 10:03, 21 February 2024
- .../ref> to model [[illiquid securities]] and to value [[Derivative (finance)|financial derivatives]] on these. ...consisting of stock and cash is not complete yet. To value and replicate a financial derivative an additional traded security related to the original security n ...3 KB (486 words) - 13:47, 9 April 2024
- ...eta]] that investors do not typically associate with the true meaning of [[Financial risk|risk]].<ref name="The Entrepreneur's Cost of Capital">{{cite web|title ...et equilibrium in a mean-lower partial moment framework|journal=Journal of Financial Economics|year=1977|volume=5|issue=2|pages=189–200|doi=10.1016/0304-405x(77 ...3 KB (404 words) - 21:23, 3 May 2023
- {{Short description|Multi-factor financial formula for predicting bankruptcy}} ...ting Department as an alternative to the [[Altman Z-score]] for predicting financial distress.<ref name="ycharts">{{cite web|url=http://ycharts.com/glossary/ter ...4 KB (620 words) - 15:24, 8 December 2024
- ...e a business's operating [[Asset|assets]] minus its operating [[Liability (financial accounting)|liabilities]].<ref>{{Cite journal |last=Zhang |first=Yinglei |d ...IC),''' which represents the funds invested into the company that demand a financial return in the form of [[Dividend|dividends]] ([[Equity (finance)|equity]]) ...5 KB (722 words) - 18:12, 25 April 2024
- ...argument applies to the [[arbitrage pricing theory]] and all asset-pricing models of the form ...sequently, it is also always possible to construct in-sample asset pricing models that exactly satisfy the above pricing equation. This is an example of [[da ...4 KB (590 words) - 00:02, 18 March 2024
- ...by a single source of randomness. It belongs to the class of no-arbitrage models, i.e. it can fit today's [[zero-coupon bond]] prices, and in its most gener ...g when Short rates are Lognormal|date=July–August 1991|pages=52–59|journal=Financial Analysts Journal|volume=47 |issue=4 |doi=10.2469/faj.v47.n4.52 }} ...4 KB (583 words) - 13:24, 19 February 2025
- * A Technical Note on the Smith-Wilson Method, The Financial Supervisory Authority of Norway, (1 July 2010) [[Category:Financial models]] ...2 KB (300 words) - 13:46, 29 January 2024
- ...the [[leverage effect]]. The model is widely used by practitioners in the financial industry, especially for modelling [[equities]] and [[commodities]]. It was ...the Constant Elasticity of Variance Call Option Pricing Model." Journal of Financial and Quantitative Analysis, 4 : 533–553</ref><ref>Geman, H, and Shih, YF. 20 ...4 KB (552 words) - 01:39, 31 May 2024
- ...k Returns |url=https://fej.ctb.iau.ir/article_525528.html?lang=en |journal=Financial Engineering and Portfolio Management |pages=137–152 |date=22 September 2016 ...Analysts' Forecasts in the Momentum Effect|journal=International Review of Financial Analysis|volume=48|pages=67–84|date=2016|doi=10.1016/j.irfa.2016.09.007|url ...5 KB (745 words) - 07:41, 17 December 2024
- ...idity regulations''' are [[financial regulation]]s designed to ensure that financial institutions (e.g. banks) have the necessary assets on hand in order to pre ...pay the loans.<ref name=wall >Wall, L. D. (2015). Liquidity Regulation and Financial Stability.</ref> The result could be a [[liquidity crisis]], which refers t ...7 KB (1,033 words) - 11:43, 28 August 2024
- ...title = Risk and Valuation of Collateralized Debt Obligations | journal = Financial Analysts Journal | volume = 57 | pages = 41–59 | doi=10.2469/faj.v57.n1.241 ...Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models | journal = Journal of Derivatives | volume = 13 | issue = 4 | pages = 8–26 ...3 KB (443 words) - 01:56, 17 September 2024
- ...F]] Financial Programming are carried out.<ref>Tarp, F. (1994) Chapter 3 ‘Financial Programming and Stabilization’, from Stabilization and Structural Adjustmen ...owing variables are seen as [[exogenous]]:<ref>Tarp, F. (1994) Chapter 3 ‘Financial Programming and Stabilization’, from Stabilization and Structural Adjustmen ...3 KB (457 words) - 13:43, 12 January 2024
- ...mathematics]] which models the possible trades in the [[Market (economics)|financial market]]. This is of particular interest to markets with [[transaction cos ...itle = Duality for Set-Valued Measures of Risk | journal = SIAM Journal on Financial Mathematics | volume = 1 | issue = 1 | pages = 66–95 | year = 2010 | citese ...4 KB (670 words) - 15:35, 1 February 2025
- Return on brand can be used in multi-criteria models for assessing the effectiveness of [[Branding (promotional)|branding]], as Return on brand can be applied in several branding assessment models: ...3 KB (542 words) - 23:44, 23 April 2024
- ...mentals with investment return, allowing an analyst to make projections of financial performance and turn those projections into a [[required rate of return|req ==Relationship to other models== ...10 KB (1,580 words) - 19:00, 24 January 2023